Archives: How do I get a month archive and a day a

Hi,
It doesn’t seem clear to me how I get my archive links to work.
I have created a archive page that shows links of all posts by month and day but I do not know how to get these to show the actual records.
I have looked at a lot of wordpress sites and notice that most links seem to go to a pre-defined directory like ‘month’ and ‘day’, but how are these archives created?
A good example is this page: http://www.imagesafari.com/all_archives , as you can see it lists the days and months, but how are the link pages created?
Can you help please?
Thanks
Arpana